9 papers
Deploying Semantic ID-based Generative Retrieval for Large-Scale Podcast Discovery at Spotify
Edoardo D'Amico, Marco De Nadai, Praveen Chandar +41
Podcast listening is often grounded in a set of favorite shows, while listener intent can evolve over time. This combination of stable preferences and changing intent motivates rec…
A Unified Language Model for Large Scale Search, Recommendation, and Reasoning
Marco De Nadai, Edoardo D'Amico, Max Lefarov +18
LLMs are increasingly applied to recommendation, retrieval, and reasoning, yet deploying a single end-to-end model that can jointly support these behaviors over large, heterogeneou…
Multi-Level Order-Flow Imbalance in a Limit Order Book
Ke Xu, Martin D. Gould, Sam D. Howison
We study the multi-level order-flow imbalance (MLOFI), which is a vector quantity that measures the net flow of buy and sell orders at different price levels in a limit order book…
Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading
Martin D. Gould, Nikolaus Hautsch, Sam D. Howison +1
A counterparty credit limit (CCL) is a limit that is imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. CCLs help institutions to…
Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book
Martin D. Gould, Julius Bonart
We investigate whether the bid/ask queue imbalance in a limit order book (LOB) provides significant predictive power for the direction of the next mid-price movement. We consider t…
Latency and liquidity provision in a limit order book
Julius Bonart, Martin Gould
We use a recent, high-quality data set from Nasdaq to perform an empirical analysis of order flow in a limit order book (LOB) before and after the arrival of a market order. For ea…
The Long Memory of Order Flow in the Foreign Exchange Spot Market
Martin D. Gould, Mason A. Porter, Sam D. Howison
We study the long memory of order flow for each of three liquid currency pairs on a large electronic trading platform in the foreign exchange (FX) spot market. Due to the extremely…
Quasi-Centralized Limit Order Books
Martin D. Gould, Mason A. Porter, Sam D. Howison
A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial institutions can only access the trading opportunities offered by counterparties with wh…
Limit Order Books
Martin D. Gould, Mason A. Porter, Stacy Williams +3
Limit order books (LOBs) match buyers and sellers in more than half of the world's financial markets. This survey highlights the insights that have emerged from the wealth of empir…